Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working...
-
Upload
makayla-chavez -
Category
Documents
-
view
213 -
download
0
Transcript of Recently released ECB statistics on securitisation Jani Matilainen DG-Statistics / ECB OECD Working...
Recently released ECB statistics on
securitisation
Jani MatilainenDG-Statistics / ECB
OECD Working Party on Financial Statistics
Paris, 24 October 2011
2
Overview
European system of central banks’ data user needs
Monetary financial institutions’ statistical requirements
Financial vehicle corporations’ statistical requirements
Overview of recent data
Current issues
3
ESCB user needs
Data on securitisation are needed to… get reliable interpretation of monetary financial
institutions (MFIs) credit data: adjust flows and growth rates for loans which
are securitised or transferredfollow loan repayment patterns irrespective of
securitisation
monitor securitisation process itself and its impact on:
the creation of money and credit
capital markets
financial stability
understand the financial intermediation role played by financial vehicle corporations (FVCs)
4
Scope of new statistical requirements
Reporting by all MFIs and FVCs resident in the 17 euro area countries
Integrated approach to reduce reporting burden for MFIs & FVCs: New statistical requirements to be met as far as possible by
MFI balance sheet data, and
FVC balance sheet data to fill in the gaps.
MFI balance sheet data cover
MFI loan securitisation through FVCs;
Other MFIs loan transfers without intermediation of FVCs
FVC balance sheet data (addressed only to euro area FVCs) cover
securitised loans originated by non-MFIs,
securitised assets other than loans
synthetic securitisation
FVC liabilities
5
Statistical requirements for MFIs (1)
Included in Regulation ECB/2008/32, first reporting date reference December 2009
Cover:
1. Traditional MFI loan securitisation.
2. Other MFI loan transfers to/from non-MFIs.
Do not cover:
Synthetic loan securitisation (covered in FVC statistics)
6
Statistical requirements for MFIs (2)
a) Net flows of loans securitised or otherwise transferred (Net flows = loan disposals minus acquisitions)
at monthly frequency, by
type of the transferee (FVC, o/w euro area, other entities)
residency of loan’s debtor (domestic, other euro area, rest of the world)
sector of loan’s debtor (gen. gov., other financial intermediaries, insurance corporations and pension funds, non-financial corporations, households)
at quarterly frequency, by
loan’s purpose (consumer credit, housing loans, other, other-sole proprietors)
loan’s original maturity (only for non-financial corporations’ loans).
Reporters must distinguish transactions with impact on the balance sheet from the rest
7
Statistical requirements for MFIs (3)b) For MFIs acting as servicers in a loan securitisation:
quarterly nominal amount outstanding of all loans being serviced for all items in (a), distinguishing total and ‘of which’ serviced for a euro area FVC
backbone of the ‘integrated approach’ – data exchange between NCBs as input into FVC statistics
c) For MFIs adopting IAS39 or similar accounting rules in their individual accounts:
nominal amounts outstanding of securitised loans that have not been derecognised (to avoid double counting when combining FVC and MFI statistics)
d) Other requirements:
holdings of FVC securities, deposits placed by FVCs
8
MFI loan securitisation since end-2009 (1)
-30
-20
-10
0
10
20
30
40
50
60
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
2010 2011
€ billions
Not derecognised from MFI balance sheet
Derecognised - Euro area FVC as counterparty
Derecognised - Non-euro area FVC as counterparty
Derecognised - other counterparty
9
MFI loan securitisation since end-2009 (2)
€ billion
Cumulative transactions by country
-30
-20
-10
0
10
20
30
40
50
60
70
BE
DE
GR
ES
FR
IE
IT
LU
NL
AT
PT
Note: data in this chart are non-public
10
MFI loans adjusted for securitisation (1)
-40
-20
0
20
40
60
80
100
120
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
2010 2011
€ billions
Securitisations and other loan transfersTransactions (unadjusted)Transactions adjusted for securitisations and other loan transfers
Transactions in loans to private sector
11
MFI loans adjusted for securitisation (2)
Annual growth rates of MFI loans
-3
-2
-1
0
1
2
3
4
Jan. 2010 Apr. 2010 Jul. 2010 Oct. 2010 Jan. 2011 Apr. 2011 Jul. 2011
loans to households loans to households, adjusted loans to non-financial corporations loans to non-financial corporations, adjusted
12
Statistical requirements for FVCs (1)
New statistical Regulation (ECB/2008/30)
Each NCB may choose one of three compilation approaches:
Direct reporting by the resident FVCs
Direct reporting by the resident FVCs complemented by reporting of loans serviced by MFIs (‘integrated approach’)
Compilation of FVC data using other statistical, public or supervisory data sources
Quarterly frequency, transmission to ECB t+28 working days
First reporting referred to Q4 2009
13
Statistical requirements for FVCs (2) Data compiled separately for traditional, synthetic
and other FVCs
Stocks and flows of
a) securitised loans by maturity / sector / residency of originator;
- loans originated by MFIs also by residency of debtor
b) holdings of securities other than shares, by maturity/ sector/ residency of issuer;
c) deposits and loan claims, by sector / residency of counterpart
d) shares and other equity identifying inter-FVC positionse) debt securities issued, by maturity;f) totals for other balance sheet items
Write-offs/write-downs of securitised loans
14
Residency of euro area FVCs
ES
IE NL
IT
FR
BELU
DE
PT
AT
€5 billion
Outstanding amount of debt securities issued, Q2 2011
15
Nature of securitisation of euro area FVCs
Total assets of euro area FVCs by type
Traditional€1991 billion
Synthetic€99 billion
Other€116 billion
16
Assets of euro area FVCs
Euro area MFI81%Euro area
OFI and ICPF9%
Euro area NFC and General
Government2%
Non-euro area8%Securitised
loans66%
Deposits and loan claims
15%
Securities other than
shares11%
Shares and other equity
2%
Other securitised
assets4%
Other assets
2%
Breakdown of assets Securitised loans by originator
17
Liabilities of euro area FVCs
Debt securities
issued84%
Loans and deposits received
6%
Capital and reserves
1%
Other liabilities
9%
Breakdown of liabilities
Debt securities issued - transactions
-100
-80
-60
-40
-20
0
20
40
Q1 Q2 Q3 Q4 Q1 Q2
2010 2011
€ billions
18
Current issues
ECB Workshop on securitisation and FVC statistics held on 6 October
Presentations by the national central banks on compilation approaches
Discussion on conceptual issues
Analysis of data quality issues
Preparation of documents providing guidance for compilers
Extended data releases
euro area breakdown traditional / synthetic / other
Eurosystem decision on dissemination of national data
Discussion on alternative methods for adjusting for securitisations on MFI balance sheet
19
Further information
FVC press releases: www.ecb.europa.eu/press/pr/stats/fvc/html/index.en.html
Data published on ECB’s Statistical Data Warehouse: http://sdw.ecb.europa.eu/browse.do?node=9484280
List of FVCs: www.ecb.europa.eu/stats/money/mfi/corporation/html/index.en.html
FVC Regulation: www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00010013.pdf
BSI Regulation (Securitisation requirements Annex 1, Part 6): www.ecb.europa.eu/ecb/legal/pdf/l_01520090120en00140062.pdf